Microalgae are robust microorganisms with versatile metabolic functions, including oxygen generation, making them crucial components in wastewater treatment plants, food production, or extraterrestrial life-support systems. Immobilizing microalgae in hydrogels could eliminate costly separation steps required in free-floating cultivation. Volumetric bioprinting (VBP), enabling rapid fabrication of large, complex constructs from cell-laden hydrogels, presents a promising solution. This study investigates the possibilities and limitations of VBP with microalgae in poly(ethylene glycol) diacrylate–cellulose nanofibrils (PEGDA–CNF) hydrogels. Despite chlorophyll-induced interference, the printing of stable 3D structures is achievable in high-resolution up to certain cell densities. During cultivation, printed microalgae exhibited exceptionally high viability and cell density compared to alternative bioprinting methods, and their photosynthetic efficiency remained high even in the nonphysiological PEGDA–CNF environment, as confirmed by pulse-amplitude modulated fluorometry and oxygen measurements. This work demonstrates the feasibility of integrating microalgae into VBP, enabling scalable production of photosynthetically active geometries and significantly simplifying their implementation in cascade-based processes.